| Abstract: |
| We consider the mean-risk portfolio selection problem using the expectile as the risk measure in
a continuous-time diffusion model. Taking advantage of the close relationship between expectiles and the Omega performance measure, we propose an alternative optimization problem with the
Omega measure as an objective and show the equivalence between both problems. After showing
the solution for the mean-expectile problem is not attainable, we modify the problem with an upper
bound constraint imposed on the terminal wealth and solve the problem via Lagrangian duality. The global expectile minimizing portfolio and mean-expectile efficient frontier will also be discussed. |
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